Publikation: Estimation of a nonparametric regression spectrum for multivariate time series
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2007
Autor:innen
Heiler, Mark A.
Herausgeber:innen
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Zusammenfassung
Estimation of a nonparametric regression spectrum based on the periodogram is considered. Neither trend estimation nor smoothing of the periodogram are required. Alternatively, for cases where spectral estimation of phase shifts fails and the shift does not depend on frequency, a time domain estimator of the lag-shift is defined. Asymptotic properties of the frequency and time domain estimators are derived. Simulations and a data example illustrate the methods.
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
Periodogram, cross spectrum, regression spectrum, phase, wavelets
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BERAN, Jan, Mark A. HEILER, 2007. Estimation of a nonparametric regression spectrum for multivariate time seriesBibTex
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year={2007},
series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
title={Estimation of a nonparametric regression spectrum for multivariate time series},
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author={Beran, Jan and Heiler, Mark A.},
note={Also publ. in: Statistical Methodology ; 6 (2009), 2. - S. 202-222}
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Also publ. in: Statistical Methodology ; 6 (2009), 2. - S. 202-222
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